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Don't forget to follow along with your favorite programs and submit your own questions for the hosts at twitter.com/options, stocktwits.com/options, facebook.com/theoptionsinsider, or via questions at theoptionsinsider.com. Welcome to Volatility Views, the premier program for volatility traders. Each week we'll take a deep dive into the world of volatility with in-depth analysis, trading activity reviews, strategy breakdowns, cutting edge education, and much more.
We'll also bring you exclusive conversations with the traders, researchers, and asset managers who are reshaping the volatility landscape. If it involves volatility, then you'll find it on Volatility Views. Are you paying too much to trade options? If you're not trading on public.com, the answer is yes. Public is the only platform where you can earn a rebate on every option contract traded, and that's in addition to no commissions or per contract fees.
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Do you know what's popping off in the vol market? Well, let's find out together, shall we? It is time once again for Volatility Views, the premier program for volatility traders. My name, of course, Mark Longo from the TheOptionsInsider.com, as well as from the network upon which all of you folks, binging and mainlining. I've been saying it all week, but so happy to see so many folks are responding well to the new Futures rundown program. I was at an event this week.
Folks were coming up to me just out of the blue, just talking about their love for the Future show. It was fantastic. Great to hear. So glad to hear so many folks are having fun. We do delve into Vol a little bit there as well. VIX Futures do make it on that show on occasion. So if you're intrigued by vol, by all means, check it out.
Of course, if you're listening to Volatility Views, and I know there's a dedicated vol views audience, we love you all, however you listen, but make sure you listen into the full network. If not, you're missing out on a whole bunch of other stuff, nearly a dozen other shows coming at you, including the latest edition, The Futures rundown.
And of course, if you want to go above and beyond, you want pro Q&A's, you want options oddities, which if you're on the pro side, you already have in your hot little hands, came at you earlier this week. Only one place to go, the options insider.com/pro is the place to go to learn more as we learn who's joining us on the old vol views program this week. First, let's go out to last year's volatility mecca. I'm hearing good things about Snowbird, Utah this year.
Of course, it's Austin where we are joined once again by the greasiest of meatballs, Mr. Mark Sebastian from optionpit.com. Mr. Meatball, welcome back to Volatility Views, sir. Hey, good to be here. Happy Friday. Happy Friday indeed.
As we speaking of Snowbird, Utah, the man fresh off the plane also joining us hot from all things RMC, none other than Mr. Dr. Bix himself, who if you listened, keen aired listeners may have heard a cameo by him on yesterday's option block when he rudely seized the phone from the Flowmaster, just knocked him aside and said, I'm taking over your segment, Flowmaster.
And nonetheless, he is back Mr. Russell Rhodes, who when he's not doing that stuff, when he's not assaulting the Flowmaster is moonlighting over there at the Kelly School of Business. Mr. Dr. Bix, welcome back to the show, sir. As always happy to be here. I actually made an executive decision and changed my flight to later this afternoon. So I'm still in the Salt Lake City. Look at you. I didn't think I would be doing a very good job if I was talking to you from the back of a cab.
Quite the executive. I would have been, I would have been landing about 20 minutes before showtime. So made an executive decision. Also I love my sleep. So I slept in. There we go. Well, we appreciate your efforts on behalf of the audience. And then also joining us this week, holding down the U-Rex hot seat. He is a repeat offender. He last joined us back in June. So it's been all about four months now since we checked in with him.
He is Mike Green, the chief strategist and portfolio manager at Simplify Asset Management. Mike, welcome back to Volatility Views. Thank you for having me. All right, then with the gang all assembled, let's dive right on into the volatility review. It's time to break down the latest developments in the volatility trading world. It's time for the volatility review. All right, everybody. Welcome to the Vol Review, the portion of the show where we do just that.
We break down the week that was and indeed still is from a vol trading and trending and analysis, a huge activity, all sorts of fun perspectives. And as we're kicking off the show proper here, looks like the markets were kind of vacillating. We were mixed earlier in the session. The Dow was feeling a little bit of pain. It was in the red. The rest of the major indices were mostly in the green. Now it seems like we have ticked green across the board.
Dow up slightly, not even up a tenth of a percent, but managing to take into the green. S&P up about half a percent. NASDAQ up a little over three quarters of a percent and our old pal Bix Cash turned into the dark side. 1815 as we kicked off the show down over to almost two and a half points, about two and a third points from where it was this time last week. Man, this this would have looked good. Let's say, oh, I don't know, a few days ago.
But I digress and Vvix, of course, coming back down from its lofty highs down to a 101 down 15 points from where it was this time last week. All right, a lot to unpack in the world of vol this week. Mike, as our guest holding down the U-Rex hot seat, we will start with you, sir. What is catching your eye out there in the vol market this week? Well, I mean, the biggest story in the vol markets is obviously the election.
So we saw this in both equity volatility and interest rate volatility as we ticked into that 30 day window where the VIX and the move index are capturing the implied volatility around the election. You've seen those levels spike. Certainly that's happened largely without a concomitant increase in single name stocks. So it just tells me that everybody is worried about the election and thinking about the hedging at the same time.
And it seems like they're trying to price in an increased probability of a Donald Trump victory. Oh, is there an election in the offing? I wasn't aware. So I should go check that out. Exactly. Yeah, stating the obvious. Yeah, you know, it's funny, just a few weeks ago, everyone was certain that we thought we knew the outcome. Everyone was coming on here saying, oh, you know, it seems like Harris has it in the bag. And I kept saying, you know, that far out. We don't know anything.
We don't know anything the day of the election, let alone that far out. And now, of course, seems like the warm is turning, at least in the election sites, which are, of course, where real money is being wagered and hopefully the best analysis is being done. Yeah, Trump has taken a decided lead just in the last week. So very interesting stuff out there.
Also fast saying this is the first real election that you could really directly trade on listed markets here in the U.S. and not on some ridiculous binary exchange in Estonia. But on platforms you've heard of, that's always nice, regulated entities here in the U.S. He could always trade, obviously, elections tangentially. You could trade vol. You could trade the S&P. Do a lot of different things that were approximate election trades.
But now you can do it directly in a lot of different binary offerings. So fascinating stuff afoot there. Mr. Meatball, now we turn to you in the land of the southern volatility mecca, sir. What's catching your eye in another topsy-turvy ball week, sir? Yeah. You know, volatility seems to finally be backing off after being really stubbornly high for so long. We've seen, you know, VIX itself looks like it's heading towards 17 next week.
You know, that convergence of VIX and realized vol looks like it's going to start to close. I don't think we're going to get like a, you know, 15 or 16 VIX anytime soon. But baseline election vol is usually in between 16 and 17. And it seems like that's kind of where we're heading, unless we get Andrew's October surprise. You missed on our morning meeting. Andrew threw on one of the better tinfoil hats that I've heard. But I don't know that that's going to happen.
You can ask him about it on Monday's option block. But the vol really looks like it's starting to pull back. We're seeing the vol ETPs take it on the chin and, you know, some rosy pastures for the MAG 7, but also some mainline stocks. And nuclear is absolutely blowing up right now. The strength in like Oklo and in SMR and in CCJ, a lot of the uranium names, it's pretty stunning.
Nuclear has been tearing it up, lifting all things, even formerly dead names like Denison in uranium space, getting a tangential lift as a result. So yes, they are lifting anything that has to do with nuclear these days, listeners. As we go out now to the man who made the executive decision to stay behind. In fact, the Flowmaster yesterday, he was worried. He wanted to get out right after our show because he said snow was coming that night and he did not want to get trapped in Snowbird, Utah.
Dr. Vicks says, push on to all of that. Trap me if you must. But the folks must get the quality vol info. So well done, sir. The floor is yours. We'll start with the vol space, then we'll go from there, sir. Oh, I got to formulate my notes from the conference. I've still got a lot to unpack on that one. But as far as, you know, what Vicks has been doing this week, you know, you mentioned the vol, you mentioned the election betting markets.
Some of them are pricing in a 60% chance that Trump's going to win this thing now. And somebody even came in and placed a $30 bet, $30 million bet, excuse me, that Trump was going to win this thing. And it seems like as that odds, as those odds have gone up, and then also with the structural issue where the options that feed into the Vicks calculation are moving farther beyond the election, I think all those things together have resulted in a slightly lower Vicks issue or this week.
So there, you know, that's, that's on the Vicks. So there, give me a week on the conference. I will give you a full week because I like us because basically I was at the conference and then I and then I had to teach last night for three hours and I went to bed. So you got to give me a week on the conference. How about one, one salient takeaway that really stands out to you right now? One session you were like, Hmm, that's interesting. Well, not it's a thing.
I always kind of look for the themes that come up in multiple sessions and there's still, still seems this to be this fixation on trying to come up with a better method of getting the 60 40 type returns because they didn't work in 2022. And I don't, you know, I'm supposed to be a derivative guy and, and, and supposed to be saying, let's all use options to get that kind of diversification. We've had instances like 2022 once every couple of decades or so.
And it doesn't mean that 60 40 is not going to work anymore going forward. So I'm, you know, I don't know if it's, it's, you know, a lot of the participants want you to do something instead of 60 40. But that seemed to come up an awful lot. And I thought that was behind us. How many sessions, speaking of behind us, how many sessions were there this year on the majesty of selling out of the money puts? Not too many. Really? Wow. Not too many.
Yeah. There were, and it's funny because one, the only person that really brought it up was, was somebody that was using it as an argument against just as a better method of capturing risk premium versus a covered call strategy. But that, and that was on a systematic panel. I was just talking about how their method methodology. Do what? No, I said, I haven't been to RMC in a few years.
And it just seemed like every time I went, there was always about four or five people coming up on stage and saying, guess what? Have you heard the news? This awesome thing called selling out of the money puts in the SMP. And they proceed to spend an hour showing you their graphs. And it's like, have we not done this since, you know, I don't know before 1987. Yeah, it's been, it's so there was, wasn't too much of that.
There was a wide, wide variety of things, which I feel like in the past since COVID, they've done a much better job of having a wider variety of topics that are being talked about. So you don't have what you're talking about where you get a lot of redundancy in the panels. The other thing was always spy or in this case, it's SIBO. So SPX put as a hedge versus VIX calls and how do they perform over time and how do you tweak them? And that's a big, obviously topic of discussion all the time.
So was there any of that? Oh, and using, oh, of course, using volatility for diversification purposes was huge. Some talk about short volatility, which I was happy to hear. I feel like some of the depressed volumes that we're seeing in the VIX space lately are the short ball guys getting out of the way for a little while until we don't get Andrew's October surprise. Just the notion of whatever October surprise Andrew cooked up is terrifying to me. I know.
I'm just I'm just I don't even want to I don't even want to know. It's probably somebody's laptop that has a bunch of crap on it. Go ahead. It's probably something pretty awful. Yes, indeed. Speaking of surprises, that is the subject of our question of the week that is live right now. But we're not talking October surprises. Wasn't Andrew was actually the perennial perma bull. Mr Ray of Sunshine, Uncle Mike, who dropped this nugget on the option block show yesterday.
He he was talking about a post election surprise. And at first I thought that's absolutely absurd. What the hell does that even mean? And then secondly, I thought, well, that comes to pass. That could be pretty horrible. I think you can maybe you can maybe lump Jan six in as an unwelcome post election surprise. But I thought, you know what? Let's put it out there to the audience. They are the ultimate arbiters at the end of the day. So we have a flash polls going on through the end of the show.
If you're listening on demand, it should still be running. So you should be able to play on the podcast side listeners. We said quite simply inspired by our debate on the option block with Uncle Mike yesterday. Do you think we'll have a post election surprise? Yes, no. Or what the hell is that? And right now no is winning. But maybe not as much as you might think. Forty seven point one percent saying no. Thirty five point three percent saying yes.
Only seventeen point six percent in the what the hell is that camp. I thought that would be higher. But there you go. Having a little bit of fun to round out our week there. If you don't like that one, just blame Uncle Mike. He is to blame for that.
As we keep on rolling listeners out there into the land of the ball surface, of course, October rolling off the board this week, taking a lot of that Vicks funk we were talking about on the show with it last week, that election funk that was kind of gumming up the works a little bit. Now we're coming back into the show proper and we're seeing ball and Vicks do what we kind of expected it to do. November future down about exactly a point as we're kicking off the show here.
The D's future down a little over a point about one point. No five points out there. And the rest of the term structure all coming down commensurately. You go all the way out to June of next year. You still can't sniff a 20 handle right around 18 and three quarters is about looks like yes, about the highest we get out there right now. So let's go out to the U.S. hot seat. Mike, let's start with you, sir. What is catching your eye out there on the ball surface this week?
Well, on the whole surface, I think there's two things. One is that this is actually the first election. You mentioned the betting market. This is also going to be the first election in which we have single day ball contracts. It's a single day options on the S&P.
There it's interesting because the election effectively is isolated around basically the week of and it doesn't show nearly the same pop. So if I'm looking at the implied volatility on the days around the election, it's only around 14, 15. That actually strikes me as low relative to the 30 day contract that protects against the idea of an extended debate and discussion. And it's incredibly cheap relative to a lot of the other types of volatility that are measured out there.
And in particular, I would just highlight that the implied correlation metric, which to me is always the measure of real fear, right? It's saying what is the systemic risk? While that has risen, it's not that's really not the driver here, right? It's not showing that there's any huge component. So it really does feel like the election is not really priced for that election surprise.
So to me, the market is actually voting and saying that there's really not that much that's out there that is going to be all that different after the election, which kind of echoes my views. Now, that is a good point. We mentioned the binaries earlier, but you're right. You know, we're only two and a half years or so into this whole modern zero DTE era.
So this is indeed the first presidential election where on top of having the binaries, you now have of course the same day contracts, which opens up a whole other can of worms, which makes things kind of fascinating. Mr. Meatball, sir, same question for you. A, you've had a day to think about it. What are your thoughts on Uncle Mike's post-election surprise hypothesis? B, what's catching your eye out there in the vol surface?
And then C, do you think the addition of zero day contracts is going to maybe exacerbate things or maybe mute them or maybe have no impact at all? Three-part. Well, I mean, we've seen zero DTE mute S&P volatility, and I think we'll see maybe that continue with VIX. But I don't know that it'll be a huge, huge change either way. With the vol surface, we're starting to see VIX really collapse. It's now below the entire curve except for December.
And the curve itself is normalized except for the kink of December and November still trading a little bit above January. I expect that to November will likely be below January, if not today, then by Monday. The surface itself is, you know, I look at December and that to me looks a little bit inexpensive January. I mean, January look January that Jan Feb that whole back end of the curve Jan Feb March April all the way out to I mean all the way out to June.
That whole complex looks real cheap and ripe for a future spread, which I think is kind of interesting because that they're all on top of each other, which is really strange. Indeed, Mr. Rhodes, sir, the last word is yours on the vol surface. If you have any thoughts on this whole notion of the of the post election surprise have added and then see as Mike kind of brought up, this is the first real outing we have in the modern zero DTE era. What impact of any do you think that's going to have?
Well, I think one of the things with the zero DTE is that you can hold off on actually, you know, putting on whatever kind of trade you want to put on based on your election outlook until like the day before. So we do see lower implied ball just before election day and then looking at the at the money straddle it goes up and then it's just kind of steady at higher levels for most of the expirations after that.
So it we are it's not like an earnings announcement where they're pricing in a big move the day after the election and then we move on in life. They are it does appear that there's a little bit of bracing for some excess volatility when after we after the election is over and I want to say after we get the election results. So you are you are seeing that and then in the I'm really surprised at how flat the ball surface is.
And until you just think about the level of uncertainty out there, I've always equated when we're in a really narrow range and old Jim Carroll wanted to get some data from me and work on it this week as well. So I'm not the only one that's thinking about it. But typically after we after we have a flat term structure like we have right now, we do get a big move in one direction or another. There's just a lot of uncertainty around and that's what's creating the flat surface.
There's just a lot of uncertainty or nobody has a really good opinion. No good upon the ball market is not short of opinions. That is for sure. And you folks have all sorts of opinions on international vol. So let's get there next. It's time to explore what's happening in the volatility market beyond our shores. It's time for the international volatility review. The international volatility segment is brought to you by your ex home of Euro stocks.
B stocks, DAX and the German government bond based Eurobund, Eurobabel, Euro shots derivatives. Your ex is the leading European derivatives exchange. Learn more about trading B stocks futures and options. The European volatility benchmark at www.yourex.com/b stocks. All right, everybody, welcome to the international vol review. We take a peek beyond our shores and see what's popping off in some other vol markets, namely landing over there in Europe.
And how is vol looking over there in B stocks land? Well, as you might expect coming in a little bit across the pond as well, closing at a 17 and a quarter this morning puts it down about exactly one and a quarter points from where it was this time last week, hanging out towards the lower end of its range. Still got a ways to go to threaten that 52 week low of about 1212 that it hit last December. Of course, the high, you know when it was August 5th, 3116, nowhere near that right now as well.
But of course, there's a lot of waiting and seeing being done over there in B stocks land as well. Remember, you want to check all this data out for yourselves. Your ex.com, you are ex.com the place to go or just head on over to stocks, STO, XX.com. That will get you straight to the V stocks data, which I know a lot of you want to sink your teeth into.
Mr. Rhodes, I know you've been busy crunching a lot of vol already this week, but what's catching your eye in the world of international volatility this week, sir? Well, you've got the November contract only at about a 20 cent premium relative to spot, which in the spot in the curve looks very similar to the curve that we're seeing with VIX. So I think there's an awful lot of uncertainty over there, but the uncertainty seems to be at a lower level.
It's been a while since we've actually had the stocks at a decent discount relative to VIX, just because they've had a lot of European specific events to deal with. They had a snap French election. They've got some immigration issues and some other things to deal with over there. But you were seeing on the terms, the V stocks term structure, the same sort of shape that you were seeing in the VIX term structure with October elevated and October going out in an elevated level.
So it's telling us the same story. I may have mentioned this, but I'm supposed to write the financial market outlook for the Kelly School of Business this year and go around the state and present it, which basically means I'm supposed to predict what the stock market is going to do next year. Would anybody like to take that job from me? I'd say that sounds pretty fun, sir. Have at it.
Yeah. Yeah, well, but it's in the point behind that is with the amount of, and I have to actually have this thing done before the election without having certainty as to what the leadership of the country is going to look like, the world economy is going to look like, the geopolitical situation is going to look like.
I would equate a flat V stocks term structure or a flat VIX term structure to the worthless market headline that we hear when they say traders are on the sidelines waiting for the next event. I think that's where we're at right now. A little bit of sideline waiting. Mike, I know you spent a lot of time watching the domestic vol scene, but I know you also have an eye on what's going on overseas as well. What's catching your eye in the international vol markets this week, sir?
Well, in the international front, it's been interesting to watch how closely the V stocks volatility has been tied to US volatility. If I look internationally, obviously the markets that caught everyone's attention a week ago were China, there we saw an unbelievable amount of flow and a lot of that was bid in the auction space. It seems to have retreated a fair amount and the interest is now somewhat in question.
But overall, to me, the international markets right now are much less interesting in terms of their expression of volatility, other than candidly, the absence of it in places like Europe, where the economic data has been much weaker than the United States, we're still not seeing any real signs of that impacting equity prices in particular. All right, listeners, remember, if you want more of all this V stocks talk, maybe you want to talk a little bit of daily options as well.
Russell's got you covered coming up on October 24th. If you can't get enough Dr. Vic slash V stocks, you want a whole day of him, not just a show, but an October 24th is your Huckleberry trading European volatility markets, daily options and V stocks. That's what it's called. You can find the link over there at your ex.com. We'll also tweet it out during the show. So if you follow us, follow Russell, you should be able to get it access to it. And again, a whole day of Russell.
What more could anyone ask for as we keep on rolling right on into the land of the mothership VIX options is VIX popping off today from a volume perspective? The answer is no, it's about doing what you might expect. Three hundred fifty five thousand. That may not sound like a lot and it isn't. But it also when you put it into the context of the ever shrinking, ever eroding, AEDV, it sounds a little bit more impressive. The AEDV has come back down to earth this week.
Eight oh two now down another twenty five thousand contracts. So it's down roughly one hundred sixty, one hundred seventy thousand contracts and where it was not too long ago threatening a million contracts a day. Still eight hundred K. Nothing to sneeze at. But a little bit lighter. Of course, heading into the election will be interesting to see. We're just talking about this is the first cycle where really we have a dailies available.
So will that mute the volume as well until everyone's just waiting for the day itself or are they going to start putting things on ahead of time? That'll be interesting to see. Either way, right now we're seeing vol and AEDV coming in. In terms of top ten, we've been kind of mystified for a while now out here in Vixland how our top ten has been the most egalitarian that it has been in sometimes. Five puts, five calls. Pick your poison out there. Well those days are behind us.
Listeners, the egalitarian days of the VIX top ten are dead and gone. R.I.P. Those instead we have a more, shall we say, familiar setup out here this week. Take calls, only two puts. Let's see if we can find those two puts, shall we, listeners. Number ten, cost you 156,000 contracts to break into the top five. That's not much. That's what I would consider really kind of baseline to break into the top ten in VIX. Also we're just coming off, you know, expiration.
So obviously October has rolled off the board, taking a fair amount of OI with it. So that's why that number is so anemic. But still, you don't expect to see the top ten in VIX, the bottom part of it, really get much below buck fifty. 156 right now. That gets us to one of my favorites, the Nove 45s. Then number nine, man, Waldo wasn't hiding at all this week. He's right there, listeners. Number nine, our first of two puts. 156,000 as well.
Only about 500 contracts separating number ten and number nine. That gets us to the Nove 14 puts. Interesting, 14 puts. You like that, strike listeners. If that's not doing it for you, allow me to present number eight, our second and final put in our top ten this week, the Nove 19 puts. I got a feeling you might like those a little bit better. Number seven, 174,000 of the Dease 20s. So of all the call paper we're going to talk about today, I definitely some of the most reasonable.
Number six, 178,000 of the Nove 40s. Here we go. Right back at it, listeners. Number five, 203,000 of the Jan 42 halves. I love when they pick the little middling strikes in between. That's always my favorite. Jan 42 half. So the 40s not doing it for you. 50s, 45s not doing it for you. 42 half is your Huckleberry. Number five out in Jan. Number four, 213,000 of the Nove 19s. Another dare I say it, reasonable position here. Number three, 237,000 of the Nove 20s. Also again, not crazy.
And then number two, speaking of crazy, 241,000 of the Nove doubles right back to the fun. And then the number one size position in VIX options right now, 309,000 of the Nove 35. So a lot of fascinating stuff out there. I know he's been busy knee deep in his vol analysis and vol conferencing this week. Let's see if he can spare any time for you folks, listeners, with a little bit of Russell's Weekly Rundown. Now, Russell's Weekly Rundown. Now, Russell's Weekly Rundown.
So nice. We are contractually obligated to play it twice. Mr. Rhodes, in between your sessions, did you have time to ferret out any weekly VIX prints, sir? Absolutely. And I came across a trade. I'm actually going to save them. You know, I usually do them in chronological order, but I'm going to save a Monday trade for last because I really like it. So Tuesday, somebody just looking out to next week, this is kind of a good, this is kind of a trade I'm kind of neutral on.
Somebody sold 160 of the October 23rd, next Wednesday's, 15 calls for 545 and they bought some protection. They bought the 30 calls for 26 cents, taken a credit of 519. So basically, if they decide to hold it into settlement, then as long as we're under 2019 in settlement, they're looking pretty darn good on that right now, the trade will do particularly well.
I barely doubt that the 15 call will expire out of the money, but still probably as long as things hold where we are right now, it looks like a pretty smart trade. VIX was at 1957 when they executed the trade. Yesterday, here's the trade that I'm not real wild about. Somebody bought 500 of the November 13th. And if you're going to play the election, you really want to look at the November 13th weeklies, not the November 6th. But November 6th is going to settle first thing in the morning.
And I mean, if you want to do that, more power to you. But I think you're better off taking a look at the November 13th weekly. So you've got a little bit of trading flexibility after the results are announced or whatever news we get out of the election, I don't even want to say results are announced. But somebody bought 500 of the November 13th, 25 calls and paid 94 cents for them. I don't think that's particularly good trade. I would do what this Monday trade did.
And this trade sold two out of the money puts, bought one 20 strike call and sold two 30 strike calls using November 13th. I almost feel like I should post all the post this on Twitter or something because of all that. And I'm probably going to put it in my weekend piece. They sold 200 of the November 13th 16 puts for 56 cents. They sold 200 of the November 13th 30 calls for 68 cents. And then they bought only 100 of the 20 calls for a buck 78 and they put this sucker on for a 70 cent credit.
So you know, they're the worst case scenario on the downside is if we're at 1530 or below 1530, then they hold it all the way to November 13th. So if you think there's going to be any sort of, or we're just even going to be above 16, it's not such a bad trade. If you think we're going to get some sort of spike that you can trade around, it's an awesome trade. So a short strangle, short strangle effectively in the weeklies, but they're hedging themselves to the upside, but only half. Exactly.
Interesting. Exactly. And what I think you do with this trade is you basically sell those, if we get a move up to the upper twenties or so, you sell those 20 strike calls and then you maybe, if you're forced to, you can roll up to like the 40 strike calls or something like that to hedge just in case and turn that short call into a short 30 something other strike call spread. That's interesting. He could have a future or two in his back pocket against that as well.
Maybe that's why he's not hedging too much to the upside there. Interesting. You got to be obviously that one. You know, I was just going to say the weekly, the futures market in the weeklies is not particularly liquid. So that might be the reason that they're doing it the way that they're doing it. Like if we were in the standard contracts, we wouldn't see the future part or that kicker part. Yeah, it's intriguing. It's definitely not a set it and forget it. Grandma ball trade.
You got to be quick on the trigger finger if you do get some upside in that time frame. Yeah. Usually we see the ratios the other way. Obviously sell one by two. We don't see sell two by one too often, but to the upside at least. But intriguing structure. I could see why it certainly stood out to you. I'll be curious. Listen, our chats are good, a good barometer for this. Are you down for this?
Listen, it's effectively a short strangle with 50% kicker to the upside in case something crazy comes to pass. I'm intrigued. I'm intrigued by you folks. We typically counsel don't go the net short units route, but if you're a little savvy in the VIX complex, you could certainly make do with that. But again, you can't sleep on it. Speaking of sleeping, like we said, is VIX asleep today? Listen, there's the answer. It's not blowing the doors off. 355,000. It's respectable, like we said.
The big dog today, 63,000 of the no 15 puts. Interesting. That's pretty sizable. Followed by number two, 36,000 of the no 14 puts. Not a bit of a put Palooza in our top five today. Listen, by the way, both of those is size. Oh, I am both. So neither of those are opening. At least we don't know for right now. 21,000 for number three of the DS 14 puts. These 14 puts. That sounds interesting as well. We all know the seasonality of VIX and I could certainly see threatening a 14 handle by that time.
Then we have 17,000 for number four of the Feb 16 puts all the way out to February. Those are opening. And then number five today. Listen, there's 13,000 of the Nova 25. So one call sneaking in there. Looks like they overwrote those. So a lot of a lot of short vol playing out there today. Yesterday, a little bit more paper on the tape. Still not exactly a banger. 669,000 contracts on the tape. The big dog out there. 36,000 of the no 23s yesterday. So interesting. Number two also as well.
36,000 of the no 17 puts and number three 33,000 of the Jan 50s five ohs also not opening. So this paper already on the Jan 50s. Number four 32,000 of the no 19 puts and number five 32,000 as well. The no 19 calls Wednesday. The banger day of the week. I think for obvious reasons we had a settlement going up then 1.14 million contracts on the tape 107,000. That was your big dog on Wednesday. That gets you to the no 16 puts.
Those bad boys were opening followed by number two 93,000 of the no 14 puts also opening could be a put vertical could be the straight up gobbling up some downside out there. We've seen both of those in the past. Number 340, drop off quite a bit to number 343,000 of the no 45s. Number 443,000 as well. The no doubles. A little bit of funky upside vertical action. Maybe number 532,000 of the DS 45s Tuesday heading into settlement. No slouch either 921,000.
So two days at least this week above the ADV. The big dog on Tuesday 65,000 of the October 20 puts. Followed by number 257,000 of the oct 25. Number 354,000 of the oct 19 puts. Number 449,000 of the oct 21s and number five heading into the day that oct goes away 43,000 of the oct 23s. On Monday kind of a sleeper as well 664 on the tape. The big dog on Monday 37,000 of the no 22s followed by number 230,000 of the no 15 puts. Number 327,000 of the October 20s.
Number 425,000 of the Jan 21s looks like they over wrote those and those were indeed opening and the number 524,000 as well of the no 19 calls. Mr Meatball kind of a a hit or miss week. Some days we had a flurry of paper. Other days like today kind of sleepy kind of quiet. Anything catching your eye on the VIX options docket this week, sir. Yeah, you know today huge amount of November puts being bought relative to total open interest that that they're buying the no 15s for 30 cents.
I kind of like that trade yesterday. So Thursday biggest trade was the DS 15s and the DS 14s some activity on in May lot lot there. The on Wednesday the big trade more downside put biggest trade was a seller of the no no there were separate trade. Sorry. The trade was the no 14 puts and looks like somebody traded the 16 puts. The might have sold those. I'm not sure what exactly, but those were up to some size. Those are real active.
Tuesday biggest trade was the Jan 21 calls, but but you know that for this week no 100,000 lots. Week from an activity basis as a whole Monday biggest trade was the no 22 calls. But outside of Monday the biggest trades have all been downside. So I think we're starting to see some some pretty heavy betting that the ball is going to relax here, which I think is kind of interesting. What were those no 15 puts for 30 cents? Those are your new Huckleberry sir. You know what I did.
I got to tell you I bought some of those today. That does have you written all over it. I know you had some of the ACK 18 puts before as well. What'd you end up doing with those? Let's not talk about the 18. Those ones. Yeah. I feel I ask because I feel your pain, sir. I feel it. That one's you know, it's very rare that it's something just seems like a ridiculous slam dunk to me. That one just leapt off the board at me and then did and and it you know it worked until it did.
It worked amazingly well until it did. So you know, I did well with the with the first trade and then my mistake was pressing. Yeah. Yeah. I feel all parts of that, sir. So yes, I share your pain. Just not very rarely do I see one. I'm like, oh, that one's a screaming a screaming by and yes. And all of us, I think, underestimated the little bit of election flummox getting worked into the VIX calculation just long enough to stick a fork in those bad boys. So a lot. Well, not I won't say a lot.
Some things going on out there in the ball space this week. Mike, anything catching your eye in the VIX option space before we roll on, sir. I have to mention the VIX options. I'll be honest. I'm not going to offer a ton of commentary there. We have a couple of products that are involved in systematic trading around that. And one of the things that I always think is interesting is hearing people noting trades that are happening in largely systematic portfolios.
I'm seeing an awful lot of demand for shorting that volatility and either buying protection in various forms or seeking different places on the curve to express those trades. Some of those that I'm hearing are at minimum systematic in their construction. So I think there's just an awful lot of that going on right now. It's still the income replacement story. I'll see what kind of story we have going on out there in the realm of the VIX ETP.
We'll start as we are want to do in inverse town out in S VIX land, catching a little bit of a bid this week, as you would expect. You know, vol is coming back down. So S VIX finally catching a little bit of a lift. Is that enough to finally make people, by the way, twenty five sixty as of a few minutes ago, up about one and a quarter points on the week. Is that enough to finally get people to start trading options in this thing again? Seems like the answer might be yes.
I mean, the ADV continues to erode to nothing. It's down another couple hundred contracts this week below six thousand contracts a day. Fifty eight hundred. It was threatening twenty thousand not that long ago. Now we're seeing today six thousand contracts already on the tape. So maybe the worm is turning. Maybe they're just all they want is upside in aspects. They don't know what to do with downside. They just don't want to trade the options.
But on the upside, they'll come to play apparently because they're trading today out there. Let's look really quickly and just see what what are folks up to out there in S VIX land today looks like the big dog out there today, such as it is a thousand exactly of the no fifteen puts. These are expiring on the first. So in the weeklies. It just looks like paper sold those and then five hundred fifty one of the no twenty puts in the regular monthly. Let's see, by the way, how do those go up?
Those went up. Fifteen. Oh, for a nickel. That's exciting. The market they got was no bid at a dollar and they sold them for a nickel. Oh, there we go. No bid at a dollar. Tell us how you really feel. Market makers. Nineteen hundred of the Jan thirty six is that is the big dog position out there in S VIX right now, followed by fifteen hundred of the 20 puts going the way of the dodo today. So those don't seem like they're going to come into the into the into the equation.
But I guess crazier things have happened. What would it take to get S VIX to a 20 by the end of the day? That would certainly be interesting. Mr. Rhodes, anything catching your eye and your beloved S VIX this week, sir? Well, yeah. And so I just pulled up the block trades, all six of them from today. And one of them is the somebody traded 100 of the November 15th 30 puts they did. They traded at I'm not even gonna guess what the price was was four sixty five.
The bid ask spread was two 80 by six. Ah, yes. No wonder we're not getting volume in here. No wonder nobody's trading this thing. Yeah, that's what's catch. I mean, I don't mean to be, you know, a negative Nelly here. But it does actually look like they sold those 30 puts and bought some different dated 24 puts. But again, the bid ask spread on some of these trades is ridiculous. You don't like nobody at a dollar for those 15 puts. That's not a good market to you.
I won't even gonna bring that one up because it's, you know, but that's pretty, pretty sad as well. So that but then when you pull up the, you know, when you pull up the option montage, it doesn't look that bad. Well, yeah, it does. It looks that bad. So they got a you know, and I got a I'm going to be with one of the S-fix people in a few days. I'm going to see if there is something that they can encourage some market makers to step in there and trade these things because it's unfortunate.
You know, the underlying is traded seven hundred thousand shares today. So you know, there is volume in the underlying. Maybe I'll go back into market making and I'll be the S-fix market maker. I was going to say if all of us could kept making markets no bid at a dollar and pretty much three dollars wide on these puts, you probably would still be market makers today. These are kind of ridiculous. I'm looking at these puts right now. I'm surprised they traded them for sixty five.
That's almost midpoint of their ridiculous market. So yeah, wow. Yeah, that is definitely something that is hurting. And you're right. When you look at the chain at the money, it doesn't look that oppressive. It's certainly not no bid at a dollar. But obviously we start getting into the weeds and God forbid you try to do a spread. No bueno out there. Are you still along the underlying and overriding calls against it?
I'm along the underlying in three quarters of position and I don't have any short calls against it right now. I just had there hasn't been enough premium and periodically when I checked in when VIX has been lower just to check in on S-fix. It's not reacting in the way that I'd really like. But you see some silly markets even for at the money options. If you're thinking about selling a call. But if I decide I want to buy it back to keep the position, I'm going to get hit both sides on it.
So it's kind of difficult. You don't want to hit that no bid. I just might have to switch over to VXX or something like that. Don't tell the UVY defense for us. They'll be super excited. I know. I know. Mr. Mr. Meatball, you certainly picked a challenging time to dive into the S-vix Fraser. It's been ever since you launched that product. It's been kind of choppy out there in S-vix land. What's catching your eye out there right now, sir?
You know, it's spent the last, you know, 10 days being having a negative role. And now that our yield zone has moved back into the positive territory, Andrew and I were actually picking up some calls today. And also I was buying some more stock here. So I'm liking it back up to 30. And then we'll see from there. I think that if you think that VIX is going to go back to kind of normal election, then they're kind of election premium.
So somewhere around 17, then VXX or S-vix is going to slowly rally and get back toward over the next two weeks, it should break 27. Do these crazy wide markets that Russell and I were just talking about, do those impact you a lot in your strategy? You know, you can get stuff done in there. So markets are annoyingly wide, but you can get stuff done. That has been kind of my experience. Like you see a market and you're like, whoa, I don't even want to step into that.
And then you put something in there and sometimes you get surprising fills. I have mentioned that before. It's not reliable, but it does happen. So yeah, it's a strange product listeners by all means. We're kind of coming up against it. But Mike, I'll give you a little time here at the end of the show. This will be your elevator pitch because we may have an opening here at the end of our show to maybe add some more vol ETPs into our weekly analysis.
We don't have a lot of time really to get into the VXXs and UVXYs of the world. Russell can't even force them to talk about them. Gun to his head. S-vol right now, listeners, $21.84 up about $0.14. Doing some paper out there about 400 contracts. The ADV is right around that level as well. So starting to build some options flow out there as well. Mike, if I'm a listener right now, give them your elevator pitch for S-vol. Why should they be paying attention to this product?
Well, there's two separate issues associated with it. The primary issue on the XIV product, and I would argue on the S-fix as well, is simply that the level of volatility is one that almost guarantees you losses over time. When you think about products that are running at 50, 60, 70, 80 type vol, simply a few days like we experienced back there in July can wipe out a year's worth of gains almost instantaneously.
The key differences with S-vol are that we run it at a much less leveraged component. So it's basically the equivalent of a quarter VIX contract. We have the flexibility to move that product across different parts of the vol surface.
And so instead of being in the first to second month where you have that extreme version of a VIX bike or that extreme risk of a VIX bike, we will typically occupy this in the second to third or in the third to fifth sort of time period in which you can get a more consistent contango to allow you to profit from the selling of volatility.
And then the last thing is, is we spend a portion of the proceeds on a fixed budget basically buying protection against the extreme moves in the volatility index. Parts of my research on the volatility surface itself actually shows that there's an increasing proportion of positively skewed events on the VIX that correspond to an increasing proportion of negatively skewed events on the S&P.
Getting that protection gives you a fixed budget that allows you to somewhat safely sleep at night, recognizing that if an extreme event occurs, you're not going to experience the wipeout that you might have with a product like SVI-X or with an XIV. And you can really see that play out over the August time period. Well, you answered my main question, which was, are you looking at what S-vix did buying some upside to hedge? Sounds like you've already cracked that.
So give our listeners a little bit of insight. What is your methodology for that? How far out are you going with the protection? How far out of the money? What is the methodology for that? Well, we have a fixed budget. And so we will ultimately make sure that we are protected at minimum. The nominal component will effectively seek out or price seek that level. And so occasionally you'll see us with calls on the VIX that can be two to even 250% higher. We're not going to spend more money.
We'll just buy more protection at a higher price. The second component to it is, again, identifying kind of where you think that sensitivity is or where that cheapness and risk really resides. We generally find that that resides about 100% higher in terms of the volatility surface, maybe even a little bit more than that. And so again, we're running a fixed budget. We don't want to overly impinge on the return. We recognize that hedging is in general a lost cost.
But in a product like the VIX in which you can experience these kind of extreme moves, we found in our research that it's well worth buying that protection, particularly as these products get more crowded and more widely followed, the risk of an XIV type event in which the volume that is available in the volatility surface is overwhelmed and creates a catastrophic move. We just saw an example of that in August. That's what we're really seeking to protect against.
And so when I say a variance product, all volatility is variance. It's simply the square of it. We're looking ultimately at a situation here where that convexity, that extreme move that can occur is most aptly expressed in variance terms as compared to volatility terms. There you go. Listen, as we were just lamenting all of our issues with SVIX. So if you're looking for perhaps an alternative in that side of the space, allow me to present SVAL again about 2182 right now.
Things of options paper, looks like the big position out there right now are about 1600 of the DS20 puts. So slightly out of the money puts, close to $2 out of the money puts. Like they started buying them, looks like they bought a bunch this week actually for around 20 cents. So intriguing yet another name to add to our analysis. Listen, speaking of analysis, it's that time. It is time for the crystal ball. It's time to peer into the future and reveal what the volatility gods hold in store.
It's time to look into the crystal ball. All right, everybody. Welcome to the crystal ball, the portion of the show where we attempt to wrestle with what the vol gods hold in store for us for the coming week. Last week it was myself and the once future and present Dr. V stocks. We went firing both barrels last week. Listeners, Vicks and V stocks. By the way, coming to the end of the show, we have Vicks right around at 1815. V stocks obviously we said earlier closing at 17 and a quarter.
I was at 1785 on V stocks and not bad. I'm still kind of dialing in my model listeners. Russell was at an 1810. So no joy for either of us there. Vicks I was at an 1865. Russell was feeling his oats. He was feeling almost a 20, 1967. So fully a point, 1.02 points between us last week. No joy for either of us there. That means you know what, Mike, as our guest, you get the dubious honor of going first. Sir, what are you feeling this time next week for Vicks?
And if you're feeling doubly daring, you could throw a V stocks prognostication out as well. I'm not going to be doubly daring, but you know, they alluded to, I think volatility services is basically priced in the election and the fear is associated with it. If Trump continues to gain, you'll probably see that ease out, reducing the probability of that November surprise. I don't quite know what I feel like an outsider on the joke of the October surprise.
But as we continue to move higher and we price higher, you would expect to see volatility retreat. I wouldn't be surprised at all to go into next week with a 16 or 17 handle on the Vicks. So you want to go 16 half? No, it's got 16 half. There we go. There we go for Mike out there. All right, Mr. Meatball, you are next up, sir. If you feel like firing both barrels have at it, what is your palindromic nonsense for us this week, sir?
Well, you know, I can't go 1661 because Mike just went 16 and a half. 1771 seems too high. I'm just going to go for it. Let's do 1551. Let's say we oversell. Let's go for it. Let's go. Are you talking your puts up, sir? You got any V stocks for us or is that a bridge too far? No, I what 1661. All right. There we go. Reaching out on a limb there. Your methodology, sir, is an inspiration to the masses. 1661 for the meatball. Mr. Road, sir, both of us swinging and missing last week.
What do you have for us this week on Vicks and V stocks? I'm going to go with 1818 for Vicks. I'm going to go with 1717 for V stocks. You're doing an almost a palindromic adjacent strategy. I'm doing the dyslexic. Yes. Yes. The dyslexic palindrome. That is what you got here. All right. Listeners last for me here. Listeners. Yeah, it's another another weird one out here. I'm going to go for V stocks. I think it's reasonable to expect some continued erosion out there.
I'm going to say 1676 for V stocks. That gives me a little bit of breathing room between me and the meatball. And then on the Vicks side, I'm going to say I'm going to say something kind of keeps us afoot. I'm going to say 1855 for this time next week. All right. There's your markets. 1551 on the downside for Vicks, 1855 on the upside, a rare upside day for me. Our markets on V stocks ranging from 1661 all the way to 1717.
And Mike, I appreciate you taking some time out of your schedule today to join us. You kind of gave us a little bit of an overview of SVAL. If folks want to learn more, sir, where should they go? What should they do? Well, as always, we simplify the best place to go is our website, www.simplify.us.
There we have a listing of all our ETFs as well as performance history and a holding so that you could actually dig into something like SVAL and fully understand exactly what is in the construction that will change over time based on where we see the most attractive opportunities to sell that volatility. I like it. And in addition to our analysis here on the show, SVAL listeners, if you're tired of hearing us just bemoan SVX, we'll throw SVAL into the into the into the analysis.
Maybe have a little bit more fun. Check it out over there. Listeners simplify asset management, the place to go to learn more. Mr. Rhodes, where should they go if they want to check out your full day of all things V stocks are coming up soon. Well, if you if you subscribe to my sub stack, I'm gonna I don't do this very often, but I'm going to send out the link to that event to all of my subscribers. So that's one way to get that. You know, anything I do, I put out there on Twitter, basically.
So just add Russell Rhodes to Ells and no E in the Rhodes name. If you put any in the Rhodes name, you get that guy down in Tampa. That's a weatherman or something that got a DUI. That's not me. Tampa weatherman probably had his hands full recently. So maybe he hit the drink. Oh, yeah, I didn't even I got to check in on him. He probably hit the sauce again after after last week out there. But check it out.
Listeners, if you want a full day of Russell and who doesn't then definitely register for that webinar. And last but not least, Mr. Meatball, we're all here lamenting. As Vicks if you want someone to hold our hand and tell us how to do it, where should we go? What should we do? Go to option pit dot com and follow me on Twitter at option pit. There you go. Give the man a follow over there. Option Pit dot com. That is going to do it for us on the show today.
Also going to do it for us on the network today. If you're hanging out in the pro, check the podcast feed. We already got options oddities in your hot little hands. I will be heading out shortly after vol views today. Back again on Monday, of course, with the option block all the way through to next Friday. Another episode of volatility views. Stay safe out there, everybody. Then you're paying too much.
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